Wenying Yao : Citation Profile

University of Melbourne

5

H index

3

i10 index

85

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 7
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 8 (8.6 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2025-04-19    RAS profile: 2024-12-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Rafiq, Shuddhasattwa (2)

Gomis-Porqueras, Pedro (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao.

Is cited by:

GAO, Jiti (4)

Lee, Ji Hyung (4)

Funovits, Bernd (3)

Shin, Youngki (2)

Sorge, Marco (2)

Yousaf, Imran (2)

pagan, adrian (2)

Eisenstat, Eric (2)

Koop, Gary (2)

Angelini, Giovanni (2)

Mendieta-Muñoz, Ivan (2)

Cites to:

Bollerslev, Tim (50)

Diebold, Francis (33)

Andersen, Torben (27)

Ait-Sahalia, Yacine (15)

Campbell, John (15)

Hansen, Peter (15)

Neely, Christopher (15)

Poskitt, Donald (14)

Laurent, Sébastien (14)

Yilmaz, Kamil (13)

Davis, Steven (13)

Main data

Production by document typearticlepaper201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20122013201420152016201720182019202020212022202320240102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2014201520162017201820192020202120222023202420250102030Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20122013201420152016201720182019202020212022202320240102030Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 5Most cited documents123456701020Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402.557.5h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Wenying Yao has published?

Journals with more than one article published# docs
Pacific-Basin Finance Journal3
The Economic Record2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics4
Discussion Papers / Free University Berlin, School of Business & Economics2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Wenying Yao (2025 and 2024)

Year  ↓Title of citing document  ↓
2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

Full description at Econpapers || Download paper

2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

2024Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications. (2024). Guang-XI, Cao ; Mei-Jun, Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924002911.

Full description at Econpapers || Download paper

2024Adapting fiscal strategies to energy and food price shocks in Portugal. (2024). Mamboundou, Pierre ; Escalante, Luis. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:651-665.

Full description at Econpapers || Download paper

2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

Full description at Econpapers || Download paper

2024On LASSO for high dimensional predictive regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001556.

Full description at Econpapers || Download paper

2024Numerological superstitions and market-wide herding: Evidence from China. (2024). Gebka, Bartosz ; Gavriilidis, Konstantinos ; Cui, Yueting ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001315.

Full description at Econpapers || Download paper

2024Do investors herd under global crises? A comparative study between Chinese and the United States stock markets. (2024). Sun, Shuanglin ; Cheng, Tingting ; Xing, Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001508.

Full description at Econpapers || Download paper

2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

Full description at Econpapers || Download paper

2024Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach. (2024). Ridhwan, Masagus M ; Juhro, Solikin ; Hidayat, Kelvin Ramadhan ; Nijkamp, Peter ; Ismail, Affandi. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:27:y:2024:i:1b:p:25-82.

Full description at Econpapers || Download paper

2024Econometric and stochastic analysis of stock price before and during COVID-19 in India. (2024). Lingaraja, Kasilingam ; Duraisamy, Pandiaraja ; Madheswaran, Madhavan. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:3:d:10.1007_s10668-023-03022-5.

Full description at Econpapers || Download paper

2024Market volatility and crisis dynamics: a comprehensive analysis of U.S., China, India, and Pakistan stock markets with oil and gold interconnections during COVID-19 and Russia–Ukraine war periods. (2024). Khan, Muhammad Niaz. In: Future Business Journal. RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00314-8.

Full description at Econpapers || Download paper

Works by Wenying Yao:

Year  ↓Title  ↓Type  ↓Cited  ↓
In: .
[Full Text][Citation analysis]		paper0
2024Tests for Jumps in Yield Spreads.(2024) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Tests for jumps in yield spreads.(2021) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Modelling Financial Contagion Using High Frequency Data In: The Economic Record.
[Full Text][Citation analysis]		article0
2020Jump Risk in the US Financial Sector In: The Economic Record.
[Full Text][Citation analysis]		article1
2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis In: Working Papers.
[Full Text][Citation analysis]		paper0
2023The impact of forward guidance and large-scale asset purchase programs on commodity markets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2020The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics.
[Full Text][Citation analysis]		article0
2017On weak identification in structural VARMA models In: Economics Letters.
[Full Text][Citation analysis]		article1
2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article15
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2022The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article19
2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article3
2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article0
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article6
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
[Full Text][Citation analysis]		article4
2012VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper5
2014Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper2
2016Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2018High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance.
[Full Text][Citation analysis]		article0
2015High frequency characterization of Indian banking stocks.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2017Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2022Characterizing financial crises using high-frequency data In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2014Forecasting with EC-VARMA models In: Working Papers.
[Full Text][Citation analysis]		paper0
2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2015The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Cojump anchoring In: Discussion Papers.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team